One of the beauties of the internet is that you can find the answers -- or at least someone else asking the questions -- for just about anything. I've been re-reading the Appendices to the Lord of the Rings lately, and one question occurred to me that I hadn't focused on before: during the Second Age, the forging of the One Ring precedes Sauron's captivity in Numenor. What happened to the Ring when Numenor was drowned in the sea and Sauron lost the physical form he had taken? Was he wearing the Ring, or had he left it somewhere?

Anyway, turns out that there are indeed sites that deal with questions such as this; the answers are here and here, with the short answer being Tolkein's statement in one of his letters that

Though reduced to 'a spirit of hatred borne on a dark wind', I do not think one need boggle at this spirit carrying off the One Ring, upon which his power of dominating minds now largely depended.